FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2012804516> ?p ?o ?g. }

• W2012804516 endingPage "1350031" @default.
• W2012804516 startingPage "1350031" @default.
• W2012804516 abstract "This paper presents an extension of a general computational scheme for asymptotic expansions proposed in earlier works by the authors and coworkers. In the earlier works, a new method was developed for the computation of an arbitrary-order expansion with a normal benchmark distribution in a multidimensional diffusion setting. In particular, a new algorithm was proposed for calculating coefficients in an expansion by solving a system of ordinary differential equations. In the present note, by a change of variable technique, and by various ways of setting the perturbation parameters in the expansion, we provide the flexibility of setting the benchmark distribution around which the expansion is made and an automatic way for computation up to any order in the expansion. For instance, we introduce new expansions, called the lognormal expansion and the CEV expansion. We also show some concrete examples with numerical experiments, which imply that a high-order CEV expansion will produce more a precise and stable approximation for option pricing under the SABR model than other approximation methods such as the log-normal expansion and the well-known normal expansion." @default.
• W2012804516 created "2016-06-24" @default.
• W2012804516 creator A5067590340 @default.
• W2012804516 creator A5067985786 @default.
• W2012804516 date "2013-07-25" @default.
• W2012804516 modified "2023-10-03" @default.
• W2012804516 title "NOTE ON AN EXTENSION OF AN ASYMPTOTIC EXPANSION SCHEME" @default.
• W2012804516 cites W105642227 @default.
• W2012804516 cites W1523145195 @default.
• W2012804516 cites W1529305232 @default.
• W2012804516 cites W1576967860 @default.
• W2012804516 cites W1970983928 @default.
• W2012804516 cites W1980610791 @default.
• W2012804516 cites W1981187639 @default.
• W2012804516 cites W1985377459 @default.
• W2012804516 cites W1994932624 @default.
• W2012804516 cites W1999185821 @default.
• W2012804516 cites W2029197183 @default.
• W2012804516 cites W2036077530 @default.
• W2012804516 cites W2045475195 @default.
• W2012804516 cites W2050251961 @default.
• W2012804516 cites W2058211309 @default.
• W2012804516 cites W2077879056 @default.
• W2012804516 cites W2099993341 @default.
• W2012804516 cites W2117382681 @default.
• W2012804516 cites W2132198619 @default.
• W2012804516 cites W2144513849 @default.
• W2012804516 cites W2155276947 @default.
• W2012804516 cites W3009652274 @default.
• W2012804516 cites W3023084217 @default.
• W2012804516 cites W3121589196 @default.
• W2012804516 cites W3121861658 @default.
• W2012804516 cites W3122321581 @default.
• W2012804516 cites W3123418236 @default.
• W2012804516 cites W3125446329 @default.
• W2012804516 cites W4243551594 @default.
• W2012804516 cites W4293510232 @default.
• W2012804516 doi "https://doi.org/10.1142/s0219024913500313" @default.
• W2012804516 hasPublicationYear "2013" @default.
• W2012804516 type Work @default.
• W2012804516 sameAs 2012804516 @default.
• W2012804516 citedByCount "8" @default.
• W2012804516 countsByYear W20128045162012 @default.
• W2012804516 countsByYear W20128045162014 @default.
• W2012804516 countsByYear W20128045162015 @default.
• W2012804516 countsByYear W20128045162016 @default.
• W2012804516 countsByYear W20128045162018 @default.
• W2012804516 crossrefType "journal-article" @default.
• W2012804516 hasAuthorship W2012804516A5067590340 @default.
• W2012804516 hasAuthorship W2012804516A5067985786 @default.
• W2012804516 hasBestOaLocation W20128045162 @default.
• W2012804516 hasConcept C11413529 @default.
• W2012804516 hasConcept C11683690 @default.
• W2012804516 hasConcept C126255220 @default.
• W2012804516 hasConcept C13280743 @default.
• W2012804516 hasConcept C134306372 @default.
• W2012804516 hasConcept C158946198 @default.
• W2012804516 hasConcept C160817175 @default.
• W2012804516 hasConcept C165160513 @default.
• W2012804516 hasConcept C185798385 @default.
• W2012804516 hasConcept C186080144 @default.
• W2012804516 hasConcept C199360897 @default.
• W2012804516 hasConcept C205649164 @default.
• W2012804516 hasConcept C2778029271 @default.
• W2012804516 hasConcept C28826006 @default.
• W2012804516 hasConcept C33923547 @default.
• W2012804516 hasConcept C41008148 @default.
• W2012804516 hasConcept C45374587 @default.
• W2012804516 hasConcept C51544822 @default.
• W2012804516 hasConcept C78045399 @default.
• W2012804516 hasConceptScore W2012804516C11413529 @default.
• W2012804516 hasConceptScore W2012804516C11683690 @default.
• W2012804516 hasConceptScore W2012804516C126255220 @default.
• W2012804516 hasConceptScore W2012804516C13280743 @default.
• W2012804516 hasConceptScore W2012804516C134306372 @default.
• W2012804516 hasConceptScore W2012804516C158946198 @default.
• W2012804516 hasConceptScore W2012804516C160817175 @default.
• W2012804516 hasConceptScore W2012804516C165160513 @default.
• W2012804516 hasConceptScore W2012804516C185798385 @default.
• W2012804516 hasConceptScore W2012804516C186080144 @default.
• W2012804516 hasConceptScore W2012804516C199360897 @default.
• W2012804516 hasConceptScore W2012804516C205649164 @default.
• W2012804516 hasConceptScore W2012804516C2778029271 @default.
• W2012804516 hasConceptScore W2012804516C28826006 @default.
• W2012804516 hasConceptScore W2012804516C33923547 @default.
• W2012804516 hasConceptScore W2012804516C41008148 @default.
• W2012804516 hasConceptScore W2012804516C45374587 @default.
• W2012804516 hasConceptScore W2012804516C51544822 @default.
• W2012804516 hasConceptScore W2012804516C78045399 @default.
• W2012804516 hasIssue "05" @default.
• W2012804516 hasLocation W20128045161 @default.
• W2012804516 hasLocation W20128045162 @default.
• W2012804516 hasOpenAccess W2012804516 @default.
• W2012804516 hasPrimaryLocation W20128045161 @default.
• W2012804516 hasRelatedWork W1969313814 @default.
• W2012804516 hasRelatedWork W1998844177 @default.
• W2012804516 hasRelatedWork W2003471128 @default.
• W2012804516 hasRelatedWork W2006288072 @default.

• next